淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-1007202022190500
中文論文名稱 不動產市場與股票市場相關性研究-以臺灣、香港為例
英文論文名稱 Research on the Correlation between Real Estate Market and Stock Market-Evidence of Taiwan and Hong Kong
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 108
學期 2
出版年 109
研究生中文姓名 謝承希
研究生英文姓名 Cheng-Hsi Hsieh
學號 707530043
學位類別 碩士
語文別 中文
口試日期 2020-06-28
論文頁數 59頁
口試委員 指導教授-聶建中
委員-聶建中
委員-謝明瑞
委員-莊孟翰
中文關鍵字 房屋價格  股票價格  門檻共整合模型  門檻誤差修正模型 
英文關鍵字 House Price  Stock Price  Threshold Cointegration  Threshold Error Correction Model 
學科別分類
中文摘要 本文就2009年01月至2019年11月,共計131個月期間,臺灣房屋價格指數、臺灣加權股價指數、香港房屋價格指數與香港恆生股價指數為研究標的,透過非線性門檻誤差修正模型架構,各別就臺灣房屋價格指數及臺灣加權股價指數、香港房屋價格指數及香港恆生股價指數其相互間非線性長、短期因果關係進行探討。於研究方法上,除了使用傳統的線性PP、KPSS與NP單根檢定來測試是否為定態變數,亦透過Kapetanios et al.(2003) KSS的非線性單根檢定檢驗資料的非線性定態關係,再使用Enders and Granger(1998)門檻自我迴歸模型(TAR)和動差門檻自我迴歸模型(M-TAR)進行門檻共整合檢定,再藉由更進階的Enders and Granger(1998)以及Enders and Siklos(2001)門檻誤差修正模型(TECM)來捕捉臺灣房屋價格指數及臺灣加權股價指數、香港房屋價格指數和香港恆生股價指數之長、短期非線性不對稱效果。
從實證結果發現,在線性PP與 NP單根檢定法,檢測出臺灣、香港的房市和股市資料皆是I(1)數列。而在KPSS單根檢定法,除了臺灣房屋價格指數,仍然為非定態的時間序列資料,其餘檢定結果均屬I(1)數列。至於對非線性KSS的檢定結果,除了臺灣加權股價指數和香港房屋價格指數仍然無法顯著拒絕非定態之虛無假設,其餘變數皆呈現非線性定態現象,以I(1)表示。最後,對長、短期因果關係的檢定由誤差修正模型可發現,在臺灣或是香港,不論是房價正在上漲(高於門檻值),亦或是房價較為低迷(低於門檻值)之時,房價對股價存在著正向的單向因果關係,房市似乎是股市的領先指標。
英文摘要 The paper employs the newly threshold error-correction model (TECM) elaborated by Enders and Granger and Enders and Siklos to investigate the nonlinear causal relationship between four index(Taiwan real estate index ,Taiwan weighted stock Index, Hong Kong real estate index and Hong Kong Hang Seng stock price index) from 2009 to 2019. In addition to using traditional linear single root tests (PP, KPSS and NP )to test whether the variables are stationary, the research method also uses Kapetanios et al. (2003) KSS nonlinear single root tests to examine the nonlinear stationary state of data.
The empirical evidence suggests that there is a short-term causal relationship between the stock market and the real estate market. Further findings of TECM Granger-Causality tests show that whether in Taiwan or Hong Kong, a long-term equilibrium asymmetric co-integration relationship exists between the stock market and the real estate market.
論文目次 目錄
第一章、緒論 1
第一節、研究背景與動機 1
第二節、研究目的 2
第三節、研究架構與研究流程 5
第二章、文獻回顧 7
第一節、對歐、美國家不動產市場與股票市場相關性研究 7
第二節、對亞洲國家不動產市場與股票市場相關性研究 8
第三章、研究方法 12
第一節、單根檢定 13
第二節、門檻共整合檢定 21
第三節、門檻誤差修正模型與 Granger Causality關係 25
第四章、實證結果與分析 28
第一節、資料來源與變數選取 28
第二節、單根檢定 34
第三節、門檻共整合檢定 38
第四節、門檻誤差修正模型與 Granger Causality關係 43
第五章、結論 53
參考文獻 56


表目錄
表4.1.1 變數之敘述統計 30
表4.2.1 PP單根檢定 34
表4.2.2 NP單根檢定 35
表4.2.3 KPSS單根檢定 36
表4.2.4 KSS 單根檢定 37
表4.3.1 臺灣房屋價格指數與臺灣加權股價指數模型非線性共整合測試 39
表4.3.2 香港房屋價格指數與和香港恆生股價指數模型非線性共整合測試 41
表4.4.1 臺灣加權股價指數與臺灣房屋價格指數門檻誤差修正模型估計 47
表4.4.2 香港恆生股價指數與和香港房屋價格指數門檻誤差修正模型估計 51
表4.4.4 門檻誤差修正模型綜合比較 52

圖目錄
圖1.3.1 研究流程架構圖 6
圖4.1.1 臺灣房屋價格指數之時間趨勢圖 31
圖4.1.2 臺灣加權股價指數之時間趨勢圖 32
圖4.1.3 香港房屋價格指數之時間趨勢圖 32
圖4.1.4 香港恆生股價指數之時間趨勢圖 33
參考文獻 一、中文文獻
王良立(2013),「股市、房市及總體經濟表現之動態相關性:臺灣與美國實證研究」,(東海大學管理學院財務金融研究所碩士在職專班論文。

林姿妤(2019),「使用房地產相關股票之價格預測房價」,(經濟論文叢刊),第47卷第2期,159-182。

胡也潞(2016),「中國股市與房市、美國股市共整關係的行業比較」,(新財經《理論版》),第2期,49。

柴婷昱(2011),「論國際熱錢對我國房地產和股票價格的影響與對策」,(商業時代(原名《商業經濟研究》),第35期,70-72。

涂丹、何紫娟、張金亭(2016),「基於VAR模型的中國股票市場與房地產市場相關性分析」,(測繪與空間地理信息),第39卷第12期,154-157。

彭興庭(2011),「我國房地產市場與股票市場的波動相關性研究(北京理工大學學報《社會科學版》),第13卷第5期,38-43。

聶婧(2014),「我國房地產市場與股票市場相關性的實證研究」,(中國集體經濟),第16期,44-45。

蔡怡純、陳明吉(2013),「房價指數與股價指數的波動性差異及不對稱相關:門檻波動性與共整合模型實證分析」,(財務金融學刊),第21卷第4期,
25-57。

簡智崇、許耀文、荷世平(2008),「房價能否預測股票報酬?」,(經濟論文叢刊),第36卷第1期,89-139。


二、英文文獻
Balke, N.S. and Fomby, T.B. (1997). “ Threshold Cointegration,” International Economic Review, 38, 627-645.

Batayneh, K. I. and Al-Malki, A. M. (2015). “ The Relationship between House Prices and Stock Prices in Saudi Arabia: An Empirical Analysis,” International Journal of Economics and Finance, 7(2), 156-167.

Bhargava, A. (1986). “ On the Theory of Testing for Unit Roots in Observed Time Series,” Review of Economic Studies, 53, 369-384.
Chan, K. S. (1993). “ Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model,” The Annals of Statistics, 21, 520-533.
DeJong, D. N., Nankervis, J. C., Savin, N. E., and Whiteman, C. H. (1992). “ The Power Problems of Unit Root Test in Time Series with Autoregressive Errors,” Journal of Econometrics, 53(1-3), 323-343.

Dickey, D.A. and Fuller, W.A. (1979). “ Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 47, 427-431.

Enders, W. and Siklos, P. L., (2001). “ Cointegration and Threshold Adjustment,” Journal of Business and Economic Statistics, 2001, 19(2), 166-176.

Enders, W. and Granger, C. W. J. (1998). “ Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,” Journal of Business and Economic Statistics, 16, 304-311.

Engle, R. F. and Granger, C. W. J. (1987). “ Co-integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55, 251-276.

Granger, C. (1981). “ Some Properties of Time Series Data and Their Use in Econometric Model Specification,” Journal of Econometrics, 16(1), 121-130.

Hansen, B. E. and Seo B. (2002),“ Testing for Two-Regime Threshold Cointegration in Vector Error-Correction Models,” Journal of Econometric, 110, 293-318.
Hansen, H. and Juselius, K. (1995),“ CATS in RATS: Cointegration Analysis of Time Series,” Distributed by Estima, Evanston, IL.
Hui, E. C. and Ng, I. M. (2012). “ Wealth Effect, Credit Price Effect, and the Inter-relationships between Hong Kong's Property Market and Stock Market,” Property Management, 30(3), 255-273.
Johansen, S. (1988). “ Statistical Analysis of Cointegration Vector,” Journal of Economic Dynamics and Control, 2(2-3), 231-254.

Kapetanios, G., Shin, Y. and Snell A. (2003). “ Testing for a Unit Root in the Nonlinear STAR Framework,” Journal of Econometrics, 112, 359-379.

Kapopoulos, P. and Siokis, F. (2005). “ Stock and Real Estate Prices in Greece:Wealth Versus‘Credit-Price Effect,” Applied Economics Letters, 12(2), 125-128.

Kwiatkowski, D., Phillips, P., Schmidt, P. and Shin, Y. (1992). “ Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure are We that Economic Time Series Have a Unit Root?” Journal of Econometrics, 54(1-3), 159-178.

Lean, H. H. (2012). “ Wealth Effect or Credit-Price Effect? Evidence from Malaysia,”
Procedia Economics and Finance, 1, 259-268.

Lin, P.T., and Fuerst, F. (2014). “ The Integration of Direct Real Estate and Stock Markets in Asia,” Journal of Applied Economics, 46, 1323-1334.

MacDonald, R. and Torrance, T. S. (1988). “ On Risk, Rationality and Excessive Speculation in the Deutschmark-US Dollar Exchange Market:Some Evidence Using Survey Data,” Oxford Bulletin of Economics and Statistics, 50, 107-123.

Nelson, C. R. and Plosser, C. I. (1982). “ Trend and Random Walks in Macroeconomics Time Series,” Journal of Monetary Economics, 10, 139-162.

Ng, S. and Perron, P. (1996). “ Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties,” Review of Economic Studies, 63(3), 435-463.

Ng, S. and Perron, P. (2001). “ LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,” Econometrica, 69(6), 1519-1554.
Phillips, P. and Perron, P. (1988). “ Testing for a Unit Root in Time Series Regression,” Biometrika, 75, 335-346.

Richard C.K. Burdekin and Ran Tao (2014). “ Chinese Real Estate Market Performance: Stock Market Linkages, Liquidity Pressures, and Inflationary Effects,” The Chinese Economy, 47(2), 5-26.

Schwert, G.W. (1989). “ Why Does Stock Market Volatility Change over Time?” Journal of Finance, 44, 1115-1153.
Shafer, J. R., Loopesko, B. E., Bryant, R. C. and Dornbusch, R. (1983). “ Floating Exchange Rates after Ten Years,” Brookings Papers on Economic Activity, 1983, 1-86.

Sim, S. and Chang, B. (2006). “ Stock and Real Estate Markets in Korea: Wealth or Credit Price Effect,” Research Journal of Economics, 11, 99.

Su, C. W. (2011). “ Non-Linear Causality between the Stock and Real Estate Markets of Western European Countries: Evidence from Rank Tests,” Economic Modelling, 28(3), 845-851.

Sutton, G. D.(2002). “ Explaining changes in house prices1,” BIS quarterly review, 47.

Toyoshima, Yuki (2018). “ Testing for Causality-In-Mean and Variance between the UK
Housing and Stock Markets,” Journal of Risk and Financial Management, MDPI,
11(2), 1-10.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2020-07-20公開。
  • 同意授權瀏覽/列印電子全文服務,於2020-07-20起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2486 或 來信